Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0506 |
| Annualized Std Dev | 0.2406 |
| Annualized Sharpe (Rf=0%) | -0.2102 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3188.0000 |
| NAs | 1.0000 |
| Minimum | -0.1158 |
| Quartile 1 | -0.0074 |
| Median | 0.0003 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0080 |
| Maximum | 0.0934 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0152 |
| Skewness | -0.5319 |
| Kurtosis | 6.4365 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.7233 |
| Historical VaR (95%) | -0.0236 |
| Historical ES (95%) | -0.0369 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0495 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-16 | 2020-03-20 | NA | -0.7233 | 3188 | 2936 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | -1.3 | 1.7 | -1.3 | 0.4 | -3.7 | -0.7 | -4.9 |
| 2009 | -1.1 | -3.7 | 1.5 | 2.4 | 3.7 | 1.4 | -0.8 | -2.4 | -2.1 | -0.5 | 2.8 | 0.1 | 1.1 |
| 2010 | 4 | 1.5 | 1.7 | -0.1 | -1.3 | 0.5 | 1 | 2.2 | 1.4 | -0.5 | 2.2 | 0.5 | 13.9 |
| 2011 | 2.8 | -1.3 | 0.6 | 0.7 | -1.2 | 1 | 0.4 | -0.7 | -1 | -2 | -0.7 | 0.1 | -1.3 |
| 2012 | 2.1 | 1.1 | 0.4 | 1.1 | -1.7 | 2.3 | 1 | 1.6 | -0.7 | -0.2 | 0 | 1.8 | 9.2 |
| 2013 | 1.7 | 0.6 | -0.5 | -1.3 | -1.4 | 0.2 | 1.1 | 0.2 | 0 | -0.6 | 0 | 1 | 0.9 |
| 2014 | -0.2 | 1.2 | 1.6 | -0.2 | -0.1 | 0.7 | -0.9 | 0.3 | -1.2 | -0.3 | -3 | -1.1 | -3.3 |
| 2015 | 0.9 | -0.5 | 4.1 | 1.6 | -1 | -0.2 | -0.6 | -2.9 | 0.5 | -0.1 | 1.6 | 0.4 | 3.8 |
| 2016 | -0.4 | 2.3 | 2.2 | 3.5 | 0.4 | 1.4 | -2.4 | -0.6 | 3.2 | 0.6 | -0.7 | -0.9 | 8.5 |
| 2017 | 0.5 | -0.2 | 0 | 0.1 | 0.4 | 0.4 | 0.5 | 0.5 | -0.6 | 1.6 | -1 | 1.1 | 3.2 |
| 2018 | -0.2 | -1.7 | 1.9 | -0.6 | 1.1 | 1.6 | -0.7 | 0.3 | 0.4 | 3.3 | -1.7 | -0.5 | 3.4 |
| 2019 | -0.3 | -0.2 | 1.7 | -0.2 | 0.9 | 0 | -0.7 | 0.4 | 0.1 | 1.2 | -0.3 | 0.2 | 2.8 |
| 2020 | -1.9 | -2.8 | -3.8 | -2.9 | 2 | 0.5 | -0.8 | 1.4 | 0.1 | 0.2 | 2.4 | -1 | -6.7 |
| 2021 | 2.8 | 2 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-07-14 41.4 SPY 123. -9.00e-3 -0.0184 -0.0872 -0.0768 -0.208 0.0038 0.224 GLD 95.9 0.0079 0.0513
2 2008-07-15 42.1 SPY 121. -1.41e-2 -0.0491 -0.111 -0.0919 -0.219 -0.0118 0.201 GLD 96.2 0.0027 0.0584
3 2008-07-16 40.4 SPY 124. 2.45e-2 -0.0067 -0.0901 -0.0942 -0.199 0.0085 0.233 GLD 94.4 -0.018 0.0321
4 2008-07-17 41.9 SPY 125. 1.00e-2 -0.0008 -0.0765 -0.0865 -0.190 0.0192 0.253 GLD 94.2 -0.0023 0.0074
5 2008-07-18 41 SPY 126. 6.20e-3 0.0173 -0.0616 -0.0903 -0.188 0.0297 0.279 GLD 94.2 -0.0005 -0.0104
6 2008-07-21 41.1 SPY 126. 6.00e-4 0.0271 -0.0623 -0.0902 -0.179 0.0246 0.267 GLD 95.1 0.0101 -0.0082
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
